Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes

This study employs several methods to simulate and construct the portfolio from stock indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the period from January 2001 to December 2017, namely, time-varying Copulas; Glosten, Jagannathan and Runkle (GJR); generalised autor...

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Tác giả chính:	Sang Phu Nguyen
Đồng tác giả:	Toan Luu Duc Huynh
Định dạng:	Journal Article
Ngôn ngữ:	English
Thông tin xuất bản:	AIMS Press 2019
Chủ đề:	GARCH models GJR EVT Copulas models CVaR Portfolio optimization
Truy cập trực tuyến:	http://digital.lib.ueh.edu.vn/handle/UEH/59655 https://www.aimspress.com/article/10.3934/QFE.2019.3.562
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spelling	oai:localhost:UEH-596552022-05-24T07:25:48Z Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes Sang Phu Nguyen Toan Luu Duc Huynh GARCH models GJR EVT Copulas models CVaR Portfolio optimization This study employs several methods to simulate and construct the portfolio from stock indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the period from January 2001 to December 2017, namely, time-varying Copulas; Glosten, Jagannathan and Runkle (GJR); generalised autoregressive conditional heteroskedasticity (GARCH); extreme value theory (EVT); and conditional value at risk (CVaR). Our target is minimising the risk based on CVaR, then achieving the maximal expected return for investors. Our model also sheds further light on the role of the dependence structure among stock indexes by employing elliptical (student t) Copulas, which are incorporated for simulating the optimal portfolios. Our findings suggest that the investor should invest in the optimal portfolio, which lies in the efficiency curve. Hence, the optimal portfolio has similar time-varying characteristics across the dependence of Copulas, as well as confidence levels. The research implications can be employed practically by portfolio managers and individual investors who desire to invest in ASEAN equity markets. Therefore, our findings can draw investors' attention to constructing the portfolio with the dependence level via time-varying Copulas and minimise the risk represented by CVaR rather than traditional variance. 2019-12-10T06:36:46Z 2019-12-10T06:36:46Z 2019 Journal Article 2573-0134 http://digital.lib.ueh.edu.vn/handle/UEH/59655 https://www.aimspress.com/article/10.3934/QFE.2019.3.562 en Quantitative Finance and Economics Vol. 3, No. 3 none Portable Document Format (PDF) 562 585 AIMS Press
institution	Đại học Kinh tế Thành phố Hồ Chí Minh
collection	DSpaceUEH
language	English
topic	GARCH models GJR EVT Copulas models CVaR Portfolio optimization
spellingShingle	GARCH models GJR EVT Copulas models CVaR Portfolio optimization Sang Phu Nguyen Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes
description	This study employs several methods to simulate and construct the portfolio from stock indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the period from January 2001 to December 2017, namely, time-varying Copulas; Glosten, Jagannathan and Runkle (GJR); generalised autoregressive conditional heteroskedasticity (GARCH); extreme value theory (EVT); and conditional value at risk (CVaR). Our target is minimising the risk based on CVaR, then achieving the maximal expected return for investors. Our model also sheds further light on the role of the dependence structure among stock indexes by employing elliptical (student t) Copulas, which are incorporated for simulating the optimal portfolios. Our findings suggest that the investor should invest in the optimal portfolio, which lies in the efficiency curve. Hence, the optimal portfolio has similar time-varying characteristics across the dependence of Copulas, as well as confidence levels. The research implications can be employed practically by portfolio managers and individual investors who desire to invest in ASEAN equity markets. Therefore, our findings can draw investors' attention to constructing the portfolio with the dependence level via time-varying Copulas and minimise the risk represented by CVaR rather than traditional variance.
author2	Toan Luu Duc Huynh
author_facet	Toan Luu Duc Huynh Sang Phu Nguyen
format	Journal Article
author	Sang Phu Nguyen
author_sort	Sang Phu Nguyen
title	Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes
title_short	Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes
title_full	Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes
title_fullStr	Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes
title_full_unstemmed	Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes
title_sort	portfolio optimization from a copulas-gjr-garch-evt-cvar model: empirical evidence from asean stock indexes
publisher	AIMS Press
publishDate	2019
url	http://digital.lib.ueh.edu.vn/handle/UEH/59655 https://www.aimspress.com/article/10.3934/QFE.2019.3.562
work_keys_str_mv	AT sangphunguyen portfoliooptimizationfromacopulasgjrgarchevtcvarmodelempiricalevidencefromaseanstockindexes
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Portfolio optimization from a copulas-GJR-GARCH-EVT-CVAR model: empirical evidence from ASEAN stock indexes

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